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Session Details

September 21, 2009

5:00p-6:30p
Pre-Conference Cocktail Reception

 

DAY ONE

September 22, 2009

10:15-11:15a
Keynote Address
"Toward the Next Generation Global Financial System"


Jack Malvey, Consultant, Former Chief Global Strategist of Lehman Brothers

This session addresses the evolution and nature of the next generation financial system, emphasizing the implications for issuers and especially investors.
11:20-12:20p
Client Panel
Fixed Income Market – Trends and Outlook


Moderators:
Jeffrey Foley, Vice President, Director of Analytic Solutions, Interactive Data Fixed Income Analytics
Jack Malvey, Consultant, Former Chief Global Strategist of Lehman Brothers


Panelists:

Cam Albright, Managing Director, Fixed Income, WTIM, Wilmington Trust

Jim DeMasi, CFA, Managing Director and Chief Fixed Income Strategist, Stifel Nicolaus Capital Markets

Jim Hannan, Managing Director of Fixed Income Strategy, MTB Investment Advisors

Jonathan E. Lewis, Founding Principal, Samson Capital Advisors

  Tom Shugrue, President, Carolina Capital Markets

Sharply tighter credit spreads, higher government rates, and a steeper yield curve have dominated fixed income performance trends during the first half of 2009. This client panel will provide a buy side perspective and focus on factors which may affect bond performance for the remainder of the year and beyond, including expected large scale macroeconomic trends, liquidity effects, as well as bond sector specific credit spread movement expectations:

  • Yield Curve Trends and Expectations
  • Inflationary Concerns
  • Liquidity Effects
  • Credit Spread/Default Trends/Outlook
  • RMBS Sector Trends/Outlook
  • Exogenous Factor Effects

TRACK A

2:05-3:15p
BondEdge Next Generation for Asset Managers
“Utilizing BondEdge to assist with growing and retaining assets”


David Lampert CFA, Manager, Analytic Consulting, Interactive Data Fixed Income Analytics
Philippe Rasborn, Vice President, Product Development, Interactive Data Fixed Income Analytics

Steve Pulido, Product Line Manager for Moxy, Advent Software

The current environment has created tremendous opportunities and challenges for investment managers and has demonstrated the need for thorough portfolio analysis. In this session, we will review how BondEdge Next Generation can help create portfolios and generate report books seamlessly, helping portfolio managers to respond to prospective clients quickly and thoroughly. We will cover how to simplify the account management process by allowing portfolio managers to quickly review all accounts and composites versus their benchmarks, and identify which accounts need attention and rebalancing. We will showcase the What-If tools, the BondEdge API and introduce how BondEdge Next Generation will integrate with trade order management systems, such as Advent® Moxy®. We will also examine how the middle office can utilize BondEdge Next Generation to help monitor accounts.

TRACK B

2:05-3:15p
Insurance Market Applications in BondEdge

Sonia Dixon, Executive Vice President, Analytic Support, Interactive Data Fixed Income Analytics
Darius Dadabhoy CFA, Analytic Consultant, Interactive Data Fixed Income Analytics

Trevor Howes, GGY

The insurance market has evolved and continues to respond to on-going regulatory and investment challenges of increased demand for scenario driven Dynamic Asset Cash Flow projections and Analytical Risk Reporting. In this session, we will review the BondEdge Next Generation package of reporting capabilities that provides enhanced report customization and flexibility as well as introduce a number of new system features designed to expand and respond more effectively to increased regulatory requirements. Key features will include automating batch processes for multiple portfolio or insurance segments, multiple scenario rate shifts and improved file management. Reporting enhancements will be illustrated using examples of asset cash flows by sector or quality analysis as well as utilizing the expanded analytical report fields. Using our enhanced system efficiencies we will also illustrate the use of multiple bond proxies and re-investment of surplus and the addition of swap yield curve functionality. We will also describe how BondEdge can interface with our various Asset/Liability third-party systems.
3:15-3:30p
Afternoon Break

TRACK A

3:30-4:30p
Active Benchmark Management and Performance Attribution in BondEdge Next Generation
“BondEdge Asset Manager – A Review of Benchmark Comparison Tools and Performance Attribution Analysis for Fixed Income Portfolio Managers”


Louis Gehring, Senior Vice President, BondEdge Product Manager, Interactive Data Fixed Income Analytics
Christopher Pedersen CFA, Analytic Consultant, Interactive Data Fixed Income Analytics


Structuring and monitoring a portfolio’s risk/return profile versus a fixed income benchmark requires the ability to view investment exposures in a variety of ways. Recent volatility in government, swap, and mortgage rates combined with dramatic shifts in credit spreads have highlighted the importance of flexible and concise risk reporting, robust stress testing tools, and understandable and relevant performance attribution analysis geared to fixed income investments.

This session will commence with a review of recent fixed income market and credit spread trends and implications for fixed income index risk allocations and sensitivity characteristics. A comprehensive overview will be provided of how the BondEdge Next Generation platform can be employed for benchmark risk allocation comparisons, robust and flexible benchmark stress testing analysis, and factors and returns-based performance attribution analysis. We will also provide a review of the substantial reporting enhancements to our factors-based attribution analysis scheduled for the end of 2009.

TRACK B

3:30-4:30p
Client Panel
Fixed Income Portfolio Risk & Assessment (Cash Flow Analyst)


Moderator: David Lampert CFA, Manager, Analytic Consulting, Interactive Data Fixed Income Analytics

Panelists:

Peter D. Collins, FSA, CFA, Fixed Income Director, Portfolio Manager, Cigna

 

Russell Barry, Director, Asset Liability Analysis,
Unum Provident Investment Management

  Prakash Shimpi, Managing Principal,
Enterprise Risk Management, Towers Perrin

This panel is aimed at BondEdge clients that utilize BondEdge for the management of their portfolio as an asset owner - for example life or P&C insurance companies, commercial banks, or state and local agencies. These businesses are typically heavily regulated, have portfolios with longer holding periods, and are reviewed as much on a Book Value basis as they are on a Market Value. These client types have unique reporting requirements from regulators and rating agencies. An example of the unique reporting requirements is the Principles-Based Approach (PBA) of statutory Risk-Based Capital (RBC) and minimum reserve requirements.

Discussion topics will include:

  • The production of thousands of cash flow scenarios
  • Market value stress testing
  • Regulatory/rating reporting requirements
4:30-6:00p
Day One Remarks and Wine Tasting

Take a flavorful journey through California's Central Coast, Napa Valley, Sonoma and Mendocino wine country with Sommelier William Douillet. Mr. Douillet currently works as Sommelier at Alinea in Chicago.

Wines will be paired with an assortment of imported cheeses and crackers.
6:00p
Potomac Dinner Cruise

Enjoy a gourmet meal and live entertainment aboard a luxury cruise vessel, while taking in the beautiful views of Washington DC’s monuments. This elegant Potomac River dinner cruise is the perfect way to experience the nation's capital from a unique vantage point. Appetizers, entrees and desserts are prepared fresh onboard daily.

The cruise takes approximately three-hours. Award winning wines, liquor, and beer may be purchased separately at the cash bar.

 

DAY TWO

September 23, 2009

7:15-8:15a
Breakfast

TRACK A

8:30-9:30a
Stress Testing Techniques and Methods

William Burns PhD, Senior Vice President, Director of Quantitative Research, Interactive Data Fixed Income Analytics
Dmitri Abanin CFA, Analytic Consultant, Interactive Data Fixed Income Analytics

James G. Stoltzfus , Principal, Consulting Actuary, Milliman

One of the significant weaknesses underlying some risk models, such as VaR, or with excessive reliance on copula formulas for valuing complex derivatives such as CDOs, is that it is difficult to have all of the historical data that feed these models “go bad” simultaneously. Unfortunately, this is exactly what happened in the credit markets in 2008.

Among the events that struck since late 2008 were: a massive wave of defaults by sub-prime borrowers, plummeting real estate prices, a dramatic spike in unemployment, Fannie Mae and Freddie Mac were placed under conservatorship by the U.S. government, the collapse of giants Bear Stearns and Lehman Brothers, AIG was bailed out by the American taxpayer, and General Motors and Chrysler declared bankruptcy. Banks were refusing to lend to each other, and TBills were actually trading at negative yields. The Federal Reserve’s banking stress test and new accounting rules with respect to fair value measurement and OTTI further highlighted the depths of the liquidity crisis.

In light of these events, join us for a discussion about best practices relating to stress testing techniques and methods. In addition, we will focus on the tools available within BondEdge that allow a wide range of market variables to simultaneously reach stressed levels. Finally, Michael DeWeirdt from Milliman (a BondEdge integration partner) will discuss the importance of cashflow scenario analysis and industry and regulatory trends relating to this type of stress testing.

TRACK B

8:30-9:30a
Liability Driven Investing – Trends and Developments
“A Review of Liability Driven Investment Market and Regulatory Trends and a Review of BondEdge Next Generation LDI Enhancements”


Sonia Dixon, Executive Vice President, Analytic Support, Interactive Data Fixed Income Analytics
Louis Gehring, Senior Vice President, BondEdge Product Manager, Interactive Data Fixed Income Analytics


Volatility in defined pension fund surplus has led to recent changes to legislation and accounting rules. These recent developments have caused an increase in the implementation of liability-driven investment strategies and a heightened interest in analytics directed at the LDI process. For decades, Interactive Data has offered software to assist fixed income managers with duration and cash flow matching strategies.

This session will review recent trends and developments in Liability Driven Investing and will include a demonstration of LDI reporting and sensitivity analysis enhancements, including stress testing, that have been added to the BondEdge Next Generation platform. Asset-Liability portfolio optimization techniques for new and existing portfolios will also be explored.
9:30-9:45a
Morning Break

TRACK A

9:45-10:45a
Analytic Model Developments

William Burns PhD, Senior Vice President, Director of Quantitative Research, Interactive Data Fixed Income Analytics
Bacc Alexander, Director of Structured Finance, Interactive Data Fixed Income Analytics


Term structure models are an integral component in the dynamic analysis of complex fixed income instruments, including mortgage-backed securities. This session will include a review of the G2++ Multi-Factor Term Structure Model, which will be employed for these complex instruments within BondEdge starting in early 2010. This model will enable BondEdge to capture the market view of volatility as it relates to caps/floors and swaptions through daily calibration to the volatility surface defined by these options. This session will also provide a review of several upgrades to the BondEdge Prepayment Model, including the availability of the model as an independent DLL (dynamic linked library). This will enable the model to better take advantage of the full processing power available, and permit more targeted software releases. We will also provide a discussion on employing prepayment speeds, loss and default assumptions and loss modeling capabilities for non-agency RMBS analytics. The benefits of additional collateral characteristics and a break even analysis will also be made discussed.

TRACK B

9:45-10:45a
Cloud Computing and BondEdge

Daniel D. Foley, Executive Vice President, Development, Interactive Data Fixed Income Analytics

There is a growing buzz around the concept of Cloud Computing. While definitions and applications of this emerging technology vary, a key aspect of Cloud Computing for our purposes is the availability of essentially unlimited computing power that can be brought to bear on large and/or time sensitive BondEdge processing tasks.

In this session, Dan Foley will introduce the elements of a Cloud Computing environment and review the benefits to several types of applications that are harnessing this new technology. He will describe the experiments that Interactive Data has conducted to successfully run large Service Bureau and BondEdge Feed jobs on the Amazon EC2 cloud and will solicit audience feedback on preferred development priorities for cloud-enabling portions of BondEdge to benefit clients with extensive processing needs.
10:45-11:45a
Keynote Address

Brian A. Bethune, Managing Director, Chief U.S. Financial Economist, North American Macroeconomics Group, IHS Global Insight

In this session Brian will be addressing the group on his macroeconomic outlook.
 
 
 
CONFERENCE CONCLUDES